I've hauled sheet goods on a roof rack and even on the top of a car without a roof rack, and it is not easy lifting full sheets up there. Even then, I personally would't be very comfortable hauling more than a couple hundred pounds on the roof. I was only hauling across town so didn't have to worry about highway speeds in those cases, but I would have taken a tip from truckers and added dunnage or blocking to help focus the pressure of the tie-downs (possibly flexing the sheets slightly) and help keep multiple sheets from sliding against each other and prevent the edges from getting marred by having ratchet straps wrapped directly around them.
Note also that most cars these days only come with the roof rails, and you have to buy the cross bars separately. If you do not have cross bars, it will be more difficult to properly secure your cargo and keep it from sliding forward and backward as you decelerate and accelerate.
That said, I much prefer using my 4'x8' utility trailer. It is very easy to secure the load so it doesn't slide around, and if you get one with sides and/or a fold-down ramp on the back, it's even easier. I've also used it to haul heavy stationary tools, yard waste, and water-damaged basement carpet and pad. Granted, it requires some space for storage, but there have been quite a few instances in which it was way easier to load and unload my trailer than it would have been to use a roof rack or truck.